I've also never heard that you can't protest.
However, it's worth keeping in mind that UK police techniques such as kettling (seen in last year's G20 protests) mean that it's possible to go to a protest, not do anything wrong, and still end up detained, details and photo taken, etc. I have no idea whether this would affect any future 'good character' test you might have to pass for citizenship or whatever. So it might be good to stick to demos that are unlikely to draw a big police presence or be controversial or what have you.